WinMX... eh. I stopped using that a long time ago. No the only problem really is that there are huge files that took a while to find that i dont feel like getting rid of on KazaaLite K++. Personally Its one of my favorites. Ive never had this problem before so its not like it has messed up horribly regularly.
What happens to the files when they finish, is that they dont convert to the type of file that they should (mp3, avi, wmv) they just stay as .Dat files. Thats my only problem.